Generalized inverses of Markovian kernels in terms of properties of the Markov chain

DOI10.1016/J.LAA.2013.08.037MaRDI QIDQ2451649zbMATH OpenOpenAlexFDO

Authors Jeffrey J. Hunter

Publication date 4 June 2014

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.3533

zbMATH Keywords

fundamental matrixgeneralized matrix inversesgroup inverseMarkov chainsmoments of first passage timesMoore-Penrose generalized inversestationary distributionsstochastic matrices

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Stochastic matrices (15B51) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: All one-condition generalized inverses of the Markovian kernel I - P, where P is the transition matrix of a finite irreducible Markov chain, can be uniquely specified in terms of the stationary probabilities and the mean first passage times of the underlying Markov chain. Special sub-families include the group inverse of I - P, Kemeny and Snell's fundamental matrix of the Markov chain and the Moore-Penrose g-inverse. The elements of some sub-families of the generalized inverses can also be re-expressed involving the second moments of the recurrence time variables. Some applications to Kemeny's constant and perturbations of Markov chains are also considered.

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Cited in

(23)

• Characterizations of generalized inverses associated with Markovian kernels
• The computation of the mean first passage times for Markov chains
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• Parametric forms for generalized inverses of Markovian kernels and their applications

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